Exchange rate contagion in Latin America

Rubén Albeiro Loaiza-Maya, Jose Gomez-Gonzalez and Luis Melo-Velandia
Authors registered in the RePEc Author Service: Rubén Albeiro Loaiza Maya

Research in International Business and Finance, 2015, vol. 34, issue C, 355-367

Abstract: A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods of large exchange rate depreciation and appreciation. Our results have important implications for the response of Latin American countries to currency crises originated abroad.

Keywords: Exchange rates; Contagion; Copula; Regular vine; Local correlation (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531915000240
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Exchange Rates Contagion in Latin America (2014)
Working Paper: Exchange Rates Contagion in Latin America (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:34:y:2015:i:c:p:355-367

DOI: 10.1016/j.ribaf.2015.02.019

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().